MPEG Indexing

I hope this is the correct forum to put this question (If not please feel free to move it).
I am trying to make a DVD of music videos in MPG format but I am trying to find out how I can make an index that a DVD player will recognise. I am looking to be able to use the remote on my player to go straight to track 20 for example. Right now if I just burn the MPGs direct myplayer shows a menu on the screen which only shows the first 6 MPGs available.